You are given the following data on different rates with the same maturity (1.5 years), but...

You are given the following data on different rates with the same maturity (1.5 years), but quoted on a different basis and different compounding frequencies:

• Continuously compounded rate: 2.00% annualized rate

• Continuously compounded return on maturity: 3.00%

• Annually compounded rate: 2.10% annualized rate

• Semi-annually compounded rate: 2.01% annualized rate

You want to find an arbitrage opportunity among these rates. Is there any one that seems to be mispriced?

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jeff jeffy answered 1 year ago

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